Is there any research on the equity return performance of hard-to-borrow securities? Many shops will simply screen for hard-to-borrow and eliminate these names from their short book. Anecdotally, ...
Sell-side analysts' earnings estimates for individual companies, typically reported by I/B/E/S, are a key ingredient to many quantitative models. However, revisions to analyst estimates tend to lag ...
In their 1990 book, A Non-Random Walk Down Wall Street, Andrew Lo and Craig MacKinlay document a number of persistent predictable patterns in stock prices. One of these "anomalies" is variously known ...